[ Research Interests and Curriculum Vitae |
Publications | Distinctions, Awards and Grants | Invited Talks and Conferences | Seminars | Teaching
| Links]
Welcome! I am an Assistant Professor at the Department of Mathematics and Statistics, Boston University. I am also affiliated with the Center for Information and Systems Engineering, Boston University
and I am a junior faculty fellow at the Hariri Institute at Boston University. I completed my PhD at the
Department of Mathematics, University of Maryland at College Park, advised by Professor Mark Freidlin and I was at
the Division of Applied Mathematics, Brown University
as a Prager Assistant Professor from 2009-2012.
My undergraduate studies were in Applied Mathematics and Physics at the National Technical University of Athens in Greece.
(NTUA).
Research interests:
My research lies broadly in the area of stochastic processes, applied mathematics and probability, large deviations, multiscale methods, financial mathematics, asymptotic problems for stochastic processes and partial differential equations and statistical inference for stochastic differential equations. In particular:
- Asymptotic Problems for Stochastic Processes and Partial Differential Equations (PDE's) such as Multiple Scale Problems and Large Deviations
- Stochastic Optimal Control
- Mathematical Finance: credit risk, systemic risk, risk management, large portfolio asymptotics, stochastic volatility models and large deviations
- Monte Carlo Methods and Development of Rare Event Simulation Methods
- Metastability, Trasitions between Metastable States
- Reaction-Diffusion Equations (RDE's) and Wave Front Propagation
- Interacting Particle Systems
- Statistical Inference for Stochastic Differential Equations and Parameter Estimation
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Publications:
- "Rare event simulation for multiscale diffusions in random environments", 2015, SIAM Multiscale Modeling and Simulation , to appear, [ArXiv preprint].
- "Escaping from an Attractor: Importance Sampling and Rest Points I", (with Paul Dupuis and Xiang Zhou), 2015, Annals of Applied Probability , Vol. 25, No. 5, pp. 29092958, [ArXiv preprint]
- "Irreversible Langevin samplers and variance reduction: a large deviation approach", (with Luc Rey-Bellet), 2015, Nonlinearity , Vol. 28, pp. 2081-2103, [ArXiv preprint]
- "Default Clustering in Large Pools: Large Deviations", (with Richard Sowers), 2015, SIAM Journal on Financial Mathematics , Vol. 6, (2015), pp. 86116, [SSRN], [ArXiv preprint].
- "Quenched Large Deviations for Multiscale Diffusion Processes in Random Environments", 2015, Electronic Journal of Probability, Vol. 20,
(2015), no. 15, pp. 129, [ArXiv preprint]
- "Variance reduction for irreversible Langevin samplers and diffusion on graphs", (with Luc Rey-Bellet), 2015, Electronic Communications in Probability, Vol. 20,
(2015), no. 15, pp. 116, [ArXiv preprint].
- "Non-asymptotic performance analysis of importance sampling schemes for small noise diffusions", 2015, Journal of Applied Probability , Vol. 52, pp. 1-14, [ArXiv preprint]
- "Large Portfolio Asymptotics for Losses from Default", (with Kay Giesecke, Richard Sowers and Justin A. Sirignano), 2015, Mathematical Finance, Vol. 25, No. 1, (January 2015), pp. 77114, [SSRN] ,[ArXiv preprint]
- "Systemic Risk and Default Clustering for Large Financial Systems",
Large Deviations and Asymptotic Methods in Finance, (Editors: P. Friz, J. Gatheral, A. Gulisashvili, A. Jacqier, J. Teichmann) , Springer Proceedings in Mathematics and Statistics, Vol. 110 2015,
[SSRN] ,[ArXiv preprint].
- "Rare event simulation in the neighborhood of a rest point", (with Paul Dupuis), 2014, Winter Simulation Conference, article in pdf , (IEEE, 2014), pp. 564-573 .
- "Filtering the Maximum Likelihood for Multiscale Problems", (with Andrew Papanicolaou), 2014, SIAM Multiscale Modeling and Simulation , Vol. 12, No. 3, pp. 11931229, [ArXiv preprint].
- "Fluctuations Analysis for Loss from Default", (with Kay Giesecke and Justin A. Sirignano), 2014, Stochastic Processes and their Applications, Volume 124, Issue 7, pp. 2322-2362, [SSRN],[ArXiv preprint].
- "Scaling Limits and Exit Law for Multiscale Diffusions", (with Sergio A. Almada), 2014, Asymptotic Analysis, Volume 87, pp. 65-90, [ArXiv preprint].
- "Fluctuation analysis and short time asymptotics for multiple scales diffusion processes", 2014, Stochastics and Dynamics, Vol. 14, No.3, pp. 1350026 [ArXiv preprint].
- "Maximum likelihood estimation for small noise multiscale disffusions", (with Alexandra Chronopoulou), 2013, Statistical Inference for Stochastic Processes,Volume 16, Issue 3, pp. 237-266, [ArXiv preprint]
- "Large Deviations and Importance Sampling for Systems of Slow-Fast Motion", 2013, Applied Mathematics and Optimization, Vol. 67, pp. 123161, [ArXiv preprint]
- "Default Clustering in Large Portfolios: Typical Events", (with Kay Giesecke and Richard Sowers), 2013, Annals of Applied Probability, Volume 23, Number 1, pp. 348-385, [SSRN], [ArXiv preprint].
- "Importance Sampling for Multiscale Diffusions", (with Paul Dupuis and Hui Wang), 2012, SIAM Multiscale Modeling and Simulation , Vol. 12, No. 1, pp. 1-27, [ArXiv preprint].
- "Large Deviations for Multiscale Diffusions via Weak Convergence Methods", (with Paul Dupuis), 2012, Stochastic Processes and Their Applications, 122, pp. 1947-1987, [ArXiv preprint].
- "Large Deviations Principle for a Large Class of One-Dimensional Homogeneous Strong Markov Processes", 2012, Journal of Theoretical Probability, Volume 25, Issue 4, pp. 925-949, [ArXiv preprint]
- "Recovery Rates in Investment-Grade Pools of Credit Assets: A Large Deviations Analysis", (with Richard Sowers), 2011, Stochastic Processes and Their Applications, Volume 121, Issue 12, pp. 2861-
2898, [SSRN] ,[ArXiv preprint].
- "Rare Event Simulation in Rough Energy Landscapes", (with Paul Dupuis and Hui Wang), 2011, Winter Simulation Conference, article in pdf , (IEEE, 2011), pp. 504515.
- "Wiener Process with Reflection in Nonsmooth Narrow Tubes", 2009, Electronic Journal of Probability, Vol. 14, Paper no. 69, pp. 2011-2037 article in pdf
- "Method of Moments Estimation of Ornstein-Uhlenbeck Processes Driven by General Levy Process", 2009, Annales de
l'I.S.U.P., Volume 53 - Fascicule 2-3, pp. 3-19 [ArXiv preprint]
- "Reaction Diffusion Equations with Non-Linear Boundary Conditions in Narrow Domains",
(with Mark Freidlin), 2008, Asymptotic Analysis, Volume 59, Number 3-4, pp.227-249 article in pdf
- "A note on the Smoluchowski- Kramers
approximation for the Langevin equation with reflection", 2007, Stochastics and Dynamics, Vol. 7, No. 2,
pp. 141-153 : article in pdf
Submitted papers:
- "Indifference pricing for Contingent Claims: Large Deviations Effects", (with Scott Robertson), 2014, [ArXiv preprint], submitted.
- "Statistical Inference for Perturbations of Multiscale Dynamical Systems", (with Siragan Gailus), 2015, [ArXiv preprint], submitted.
- "Hypoelliptic multiscale Langevin diffusions: Large deviations, invariant measures and small mass asymptotics", (with Wenqing Hu), 2015, [ArXiv preprint], submitted.
- "Sequential Monte Carlo with Parameter Learning for non-Markovian State-Space Models", (with Alexandra Chronopoulou), 2015, [ArXiv preprint], submitted.
- "The pricing of contingent claims and optimal positions in asymptotically complete markets", (with Michail Anthropelos and Scott Robertson), 2015, [ArXiv preprint], submitted.
Other Publications:
- PhD Thesis. "Asymptotic problems for stochastic processes with reflection and related PDE's", University Of Maryland, College Park, USA, May 2009,
Thesis
Advisor: Professor Mark Freidlin.
- M.A. scholarly paper. "The Smoluchowski-Kramers approximation for the Langevin equation with reflection in 1-D", University Of Maryland, College Park, USA, May 2006,
Scholarly paper
Advisor: Professor Mark Freidlin.
- Undergraduate thesis. "Extension of Ito Formulae to Sobolev Spaces and some Applications", National Techincal University
of Athens, Greece,June 2004, Thesis in Greek
Advisor: Professor Ioannis Spiliotis.
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Distinctions, Awards and Grants:
- 2015, Alfred P. Sloan Foundation support for attending the EVA 2015 conference.
- 2013-2016, Hariri Institute Junior Fellow.
- 2013-2016, NSF-DMS 1312124.
- 2012, SIAM travel grant for the 2012 SIAM Conference on Financial Mathematics & Engineering (FM12).
- 2011, IATF travel grant, Brown University.
- 2011, NSF block travel grant for the 16th INFORMS Applied Probability Conference.
- 2008-2009, Monroe Martin Talk Award in the presentation competition of the Spotlight on Graduate Research at the University of Maryland.
- Fall 2008, Awarded Department of Mathematics Dissertation Fellowship, University of Maryland.
- 2007-2008, Seymour Goldberg Paper Award in the written competition of the Spotlight on Graduate Research at the University of Maryland.
- 2007, Levermore Foundation Travel Grant, University of Maryland.
- 2006, Goldhaber Travel Grant, Graduate School, University of Maryland.
- 2004-2006, Block Grant Fellowship from the Department of Mathematics
of the University of Maryland.
- 2004-2005, Award from Eygenidio Foundation for outstanding Greek Students that
are pursuing graduate studies.
- 2003-2005, Three times awarded from the Technical Chamber of Greece for academic excellence
at the School of Applied Mathematics and Physical Sciences of the National Technical
University of Athens, Greece.
- 2003-2005, Three times awarded from the Greek State Scholarships Foundation for academic
excellence at the School of Applied Mathematics and Physical Sciences of the National
Technical University of Athens, Greece.
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Invited Talks and Lectures:
- December 7, 2015, Invited lecture at Mathematical Finance, Risk and Uncertainty Seminar, Department of Industrial and Enterprise Systems Engineering and Mathematics Department at the University of Illinois, Urbana-Champaign.
- November 1-4, 2015, Three Invited lectures at INFORMS Annual Meeting, Philadelphia
- October 19, 2015, Invited lecture at Department of Mathematics and Statistics, Dynamics seminar, Boston University
- September 24, 2015, Invited lecture at Department of Mathematics Probability seminar, Duke University
- August 8-13, 2015, Invited lecture at 2015 Joint Statistical Meeting (JSM), Seattle, Washington
- July 11-13, 2015, Invited lecture at Greek stochastics 2015 conference, Crete, Greece
- June 15-19, 2015, Invited lecture at Extreme Value Analysis (EVA) Conference at University of Michigan
- June 1-5, 2015, Invited/Sponsored Participant at Methods of Mathematical Finance
a conference in honor of Steve Shreves 65th birthday
Carnegie Mellon University, Pittsburgh, PA
- May 1, 2015, Session Chair and talk at Conference on Mathematical Finance and Partial Differential Equations at Rutgers University, New Brunswick
- April 8, 2015, Invited lecture at BU-Brown PDE Seminar
- March 31, 2015, Invited lecture at Department of Mathematics, University of Tennessee
- March 7-8, 2015, Invited lecture at AMS Eastern Section Meeting
- January 28, 2015, Invited lecture at Hariri Institute, Boston University
- January 16, 2015, Invited lecture at Department of Mathematics, Michigan State University
- December 20-22, 2014, Greek stochastics 2014 conference, Athens, Greece
- December 7-10, 2014, 2014 Winter Simulation Conference at Savannah, Georgia
- November 13-15, 2014, Invited lecture at the SIAM Financial Mathematics conference at Chicago
- Octomber 28, 2014, Invited lecture at the Department of Mathematics, Wayne State University
- Octomber 20, 2014, Invited lecture at the Department of Mathematics, Carnegie Mellon University
- September 22-26, 2014, Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches,
at the Isaac Newton Institute for Mathematical Sciences in England
- August 27-29, 2014, Invited lecture at the 10th International Workshop
on Rare Event Simulation (RESIM), Amsterdam, Netherlands
- June 2-6, 2014, Invited lecture at the Computational methods for statistical mechanics -- At the interface between mathematical statistics and molecular simulation, in Edinburg, England
- May 6, 2014, Invited lecture at the Probability Seminar at CUNY
- April 26 2014, Invited lecture at the
The 28th New England Statistical Symposium, 26 April 2014
- April 1-4, 2014, Invited lecture at the SIAM conference on Uncertainty Quantification, Savannah, Georgia
- March 29-30, 2014, Invited lecture at the AMS Sectional Meeting on Mathemtical Finance at University of Maryland, Baltimore County, Baltimore, MD
- March 13, 2014, Invited lecture at the Stochastics Seminar, Georgia Tech
- January 15-18, 2014, Invited lecture at the Joint Mathematical Meetings, Baltimore
- December 5, 2013, Invited lecture at Division of Applied Mathematics, Brown University
- November 20, 2013, Invited lecture at Hariri Institute, Boston University
- November 13, 2013, Invited Colloqium lecture at Department of Statistics, University of Connecticut
- October 17, 2013, Invited lecture at Math Finance Seminar, Columbia University
- October 12-12, 2013, Invited lecture at AMS Sectional Meeting Program, Temple University, Philadelphia.
- September 20-22, 2013, Invited lectures at BU-Keio Probability workshop, Boston University, Boston.
- July 8-12, 2013, Session Chair and Speaker at SIAM Annual Meeting, San Diego, California.
- June 9-12, 2013, Speaker at SIAM Conference on Mathematical Aspects of Material Science, Philadelphia, Pennsulvania.
- April 2013, Invited lecture at the
The 27th New England Statistical Symposium, 27 April 2013
- April 2013, Invited lecture at the
Workshop on Large deviations and asymptotic methods in finance, Imperial College London, England, 9-11 April 2013
- April 2013, Invited lecture at the
AMS Sectional Meeting, Boston College, Boston, 6-7 April 2013
- March 2013, Invited Talk at the
Stochastics Seminar, Mathematics Department, University of Utah
- February 2013, Invited Talk at the
Stochastics Seminar, Mathematics Department, Worcester Polytechnic Institute
- November 2012, Invited Talk at the
Seminar of Financial Mathematics, Mathematics Department, University of Michigan, Ann Arbor
- October-November 2012, Invited Talk at the
Monte Carlo Methods in the Physical and Biological Sciences, Workshop at ICERM, Brown University, Providence
Title: Escaping from an attractor: importance sampling and rest points.
- October 2012, Session Chair at the
2012 Informs Annual meeting in Phoenix, Arizona
- October 2012, Invited Talk at the
Probability, PDE and Math Finance Seminar, Department of Mathematics, Rutgers University
- October 2012, Invited Talk at the
Probability Seminar, Department of Mathematics, MIT
- October 2012, Invited Talk at the
Probability Seminar, Department of Mathematics and Statistics, UMASS at Amherst
- September 2012, Invited Talk at the Data Assimilation Workshop, Oxford-Man Institute, England
- July 2012, Invited Talk at the SIAM Conference on Financial Mathematics and Engineering, Minnesota
Title: Most Likely Path to Systemic Failure.
- July 2012, Invited Talk at the Department of Mathematics, University of California at San Diego
Title: Large Deviations and Monte Carlo Methods for Problems with Multiple Scales.
- January 2012, Invited Talk at the Department of Statistics & Operations Research, University of North Carolina
Title: Large Deviations, Metastability and Monte Carlo Methods for Multiscale Problems.
- 12-16 December 2011, Invited Talk at the EPSRC Symposium Workshop - Multiscale Systems: Theory and Applications, Warwick, England.
Title: Large deviations for multiscale diffusions and fast simulation.
- 17 October 2011, Invited Talk at the Department of Operations Research and Financial Engineering, Princeton University.
Title: Default clustering in large portfolios and most likely path to failure.
- 5-9 September 2011, Invited Talk at the ENUMATH Conference 2011
Leicester, England.
Title: Default clustering in large portfolios: typical and atypical events.
- 6-8 July 2011, Invited Talk at the Applied Probability Society Conference,
Royal Institute of Technology (KTH),Stockholm, Sweden.
Title: Large Deviations and Fast Simulation for Multiscale Diffusions and Rough Energy Landscapes.
- April 2011, Invited Talk at the Department of Mathematics at Chicago University.
Title: Large Deviations and Importance Sampling for Multiscale Diffusions.
- March 2011, Invited Talk at the Department of Mathematics at Stanford University.
Title: Default clustering in large portfolios: typical and atypical events.
- Feb 2011, Invited Talk at the Department of Mathematics and Statistics at Boston University.
Title: Large Deviations and Importance Sampling for Multiscale Diffusions.
- March 2011, Invited Talk at the Department of Applied Physics and Applied Mathematics at Columbia University.
Title: Large Deviations and Importance Sampling for Multiscale Diffusions.
- Feb 2011, Invited Talk at the Department of Mathematics and Statistics at Boston University.
Title: Large Deviations and Importance Sampling for Multiscale Diffusions.
- Oct 2010, Invited Talk at the Rare Event Simulation Workshop in Bordeaux, France.
Title: Large Deviations and Importance Sampling for Multiscale Diffusions.
- June 2010, Talk at the Department of Mathematics at the University of Minnesota.
Title: Reaction-Diffusion Equations with Nonlinear Boundary Conditions in Narrow Domains and Wave Front Propagation.
- April 2009, Invited talk at the Department of Mathematics at the University of Illinois at Urbana-Champaign.
Title: Reaction-Diffusion Equations with Nonlinear Boundary Conditions in Narrow Domains and Wave Front Propagation.
- April 2009, Invited talk at the Department of Statistics at Warwick University.
Title: Reaction-Diffusion Equations with Nonlinear Boundary Conditions in Narrow Domains and Wave Front Propagation.
- January 2009, Invited talk at the Department of Statistics and Applied Probability and the Center for Financial Mathematics and Statistics (CRFMS) at the University of Santa Barbara.
Title: Reaction-Diffusion Equations with Nonlinear Boundary Conditions in Narrow Domains and Wave Front Propagation.
- October 2008, Talk at the Applied Partial Differential Equations Research Interaction Team (RIT) at the University of Maryland.
Title: Reaction-Diffusion Equations in Narrow Domains and Wave Front Propagation.
- September 2008, Invited talk at the School of Applied Mathematics and
Physics of the National Technical University
of Athens, Greece
Title: Reaction-Diffusion Equations with Non-Linear Boundary
Conditions in Narrow Tubes and Wave Front Propagation.
- May 2008-2007, Invited lectures on Advanced Analytic Methods with Applications (Graduate course at the University of Maryland)
Title: Lectures in homogenization with probabilistic methods.
- May 2008, Invited talk at the Graduation Conference at the University of Maryland.
Title: Reaction Diffusion Equations with Non-Linear Boundary Conditions in Narrow Domains. (presentation)
- April 2008, Invited talk at the Graduate Research Interaction Day at the University of Maryland.
Title: Wave Front Propagation In Narrow Domains.
- November 2007, Talk at the Mathematical Finance Research Interaction Team (RIT) at the University of Maryland.
Title: Log Prices following General Levy Driven Ornstein- Uhlenbeck Processes.
- September 2007, Invited talk at the Graduate Students Statistics and Probability seminar at the University of Maryland.
Title: Probabilistic Approach in Homogenization: An Introduction. (presentation)
- September 2007, Invited talk at the Summer School ''De Ludo Aleae''
on probability, Universita' ``La Sapienza'' Roma, Italy.
Title: Reaction Diffusion Equations with Non-Linear Boundary Conditions in Narrow Domains. (presentation)
- June 2006, Invited talk at the Workshop: Large Scale Stochastic Dynamics
and Interaction with Kinetic Theory, Foundation for Research and Technology, Heraklion Crete, Greece.
Title: The Smoluchowski-Kramers approximation for the Langevin equation with reflection. (presentation)
Workshops and Conferences that I have attended:
- 17-21 March, 2014, Workshop on Stochastic Graph Models, ICERM, Providence, RI.
- 3-8 August, 2013, JSM 2013, Montreal, Canada.
- 9-12 June, 2013, Speaker at SIAM Conference on Mathematical Aspects of Material Science, Philadelphia, Pennsulvania.
- 20-24 May, 2013, Invited Participant Conference on Asymptotic Problems in Honor of Mark Freidlin's Birthday
, Maryland.
- 27 April, 2013, Invited lecture at the
The 27th New England Statistical Symposium
- 9-11 April, 2013, Invited lecture at the
Workshop on Large deviations and asymptotic methods in finance, Imperial College London, England
- 6-7 April, 2013, Invited lecture at the
AMS Sectional Meeting, Boston College, Boston
- January 14-18, 2013, Invited Participant at IMA Annual Program Year Workshop
Theory and Applications of Stochastic PDEs, Minnesota, Minneapolis.
- July 8-11, 2012, Speaker at SIAM Conference on Financial Mathematics and Engineering, Minnesota, Minneapolis.
- June 4-8, 2012, Probability, Control and Finance
A Conference in Honor of Ioannis Karatzas, Columbia University, New York.
- December 12-16, 2011, Speaker at EPSRC Symposium Workshop - Multiscale Systems: Theory and Applications, Warwick, England.
- September 5-9, 2011, Speaker at ENUMATH Conference 2011
Leicester, England.
- July 6-8, 2011, Speaker at Applied Probability Society Conference,
Royal Institute of Technology (KTH),Stockholm, Sweden.
- January 24-28, 2011, Participant at Random Media: Homogenization and Beyond IPAM, UCLA.
- October 28-29, 2010, Invited Speaker at Rare Event Simulation Workshop in Bordeaux, France.
- June 7-18, 2010, Participant at New Mathematical Models in Economics and Finance IMA, University of Minnesota.
- May 6-9, 2010, Participant at Stochastics and Dynamics: Asymptotic Problems CSCAMM, University of Maryland at College Park.
- June 9-13, 2008, Participant at The 12th International Conference on Hyperbolic Problems: Theory, Numerics, Applications CSCAMM, University of Maryland at College Park.
- February 21-22 2008, Participant at the February Fourier Talks at the University of Maryland at College Park.
- April 13-15 2007, Minicourse in C++ by Daniel Duffy: Preparation for a Life in Quantitative Finance.
- October 2006, Participant at the Mathematical Finance Conference in honor of the 60th Birthday of Dilip B. Madan,
University of Maryland, College Park, USA.
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Seminars that I have co-organized or I am co-organizing:
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Graduate Teaching:
Undergraduate Teaching:
- MA 583-Introduction to Stochastic Processes (Boston University), Spring 2013, Spring 2015
- MA 581-Introduction to Probability (Boston University), Spring 2015,
- MA 115-Statistics I (Boston University), Fall 2012, Fall 2013, Fall 2014, Fall 2015
- APMA 1200-Operations Research -- Probabilistic Models (Brown University), Spring 2011, Spring 2012
- APMA 1680-Nonparametric Statistics (Brown University), Spring 2010
- Math 140-Calculus I (University of Maryland at College Park), Summer 2008
- 2006 - 2008, Discussion leader for College Algebra (Math 113), Intoduction to Differential Equations (Math 246),
Calculus III (Math 241) -University of Maryland at College Park
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Other Links:
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The more I study, the more I know. The more I know, the more I forget. The more I forget, the less I know... So why I study?